The average duration of the index is calculated as the weighted average modified duration of all the assets in the index.
where:
is the modified duration of asset i at time t.
represents the index weight of asset i at time t.
The average duration of the index is calculated as the weighted average modified duration of all the assets in the index.
where:
is the modified duration of asset i at time t.
represents the index weight of asset i at time t.